36 bo fe tt wh ee ei nni tt ihael ybieenl dc h, mm ea ar ks urraetde iang rbeaesdi s uppooi nn tas t (tbhpes d) . aItses uoaf npcrei csi pn rgeaa nd di st ha emc eoauspuorne otrfatnhcehreisskispsrueemd iautma pdreimceadnidffeedrebnytifnrvoemstoprasr.when issued at par. We do not use any 2.3.2.2 Independent variables The independent variable of the model, Credit Rating, is defined as the credit rating of Moody’s and/or S&P provided for each tranche at issuance. We measure Credit Rating via a numerical scale to convert credit ratings of Moody’s (and, in pr easrpe enct thi ev se el ys , 1S &f oPr ) At oa an u( AmAeAr )i c, a2l fsoc ro rAeas 1c o( Ar rAe+s p) , o3n df oi nr gAtao2 t h( Ae Ar )a, t i4n gf onr oAt ca h3e (sAwA i–t )h, aC n) da ns od oEnU. Tma ba lrek e2t. 1( Pr ea pn oe rl st s Bs uamn dm Da r) y. Fs it rast ti s, twi ces foobrs tehr ev eU Si nmPaarnkeel ts ( CP aannedl s DA tahnadt wt hiat nh o5u, 9r3E5Ut rma na rckheets doaut ra sUeSt , mw ahri ckhe tc do au tnatsse1t , h6 a5s6 ad ag trae aptoeirn nt su. mS ebceornodf, wd aet ao bpsoei rnvt es that in the US there are more dual-rated tranches than single-rated tranches, whereas in the EU the opposite is the case. Specifically, in the US market, for 42% (528, %5 0 8( 3t,r4a2n7c ht er as n) cohf et hs )e at r adnucahl ersa tai ns gi n. gSllei grhattliyn gmwoar es doifs ct hl oes es di nagtl ei s- rsautaendc et raanndc hf oe sr rt he ce eEi vUe dmaa rr ka et itn, g4 4b %y S (&7P3 2( 1t, r4a9n2c ht reasn) c ohfe st h) et htar na nbcyh eMs owo de yr e’ s d( u1 a, 0l -1r6a tterda nacnhde s5) 6. %I n (n9u2m4bterra nr ac theeds )b yo fMt ho eo dt rya’ sn (c6h4e 7s wt r ea rnec hs ei ns g) lteh- ar ant eb dy , So&f Pw(h2i 7c h7 wt r ea nocbhseesr)v. e a h i g h e r 2.3.2.3 Control variables WB ei nr eTpa bo lret 2t h. 1e . dWe es cirni pc ltui vdee ssteavt iesrtai cl sc oa nn tdr ovla vr iaarbi al eb lde iss tt roi bcua tpi ot unrse i sne Pc ua rniet yl s dAe sai ng nd characteristics of the underlying tranche: the number of tranches the CLO deal of
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